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Multi-Strategy Portfolio Allocator

Set an allocation for each of the 10 strategies below to see how their assumed Sharpe ratios, returns, and volatilities combine into portfolio-level risk and return. The Sharpe, return, and volatility inputs are assumed, illustrative parameters chosen for demonstration only — they are not a track record and do not represent any actual trading or client results.

Hold Fund — Portfolio Metrics

Sharpe Ratio (Pre)
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Pre-financing
Sharpe Ratio (Post)
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Post-financing
Ann. Return (Pre)
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Pre-financing
Ann. Return (Post)
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Post-financing
Portfolio Vol
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Total Allocation
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-
Financing cost: 5.00% applied to allocation above 100%. Strategies assumed uncorrelated.
Hold Fund Strategies
Strategy Sharpe Ann. Return Ann. Vol Allocation (GMV) % Contribution
Portfolio Total - - - - -

How the allocator combines strategies

Each strategy starts from two assumed inputs: an annual return and a Sharpe ratio. The tool derives an implied volatility from these by dividing return by Sharpe (volatility = return ÷ Sharpe). Your allocation (gross market value as a percent of capital) becomes a weight for each strategy.

Portfolio expected return is the sum of each weight multiplied by that strategy's return. Treating the strategies as uncorrelated, portfolio variance is the sum of each (weight × volatility) squared, and portfolio volatility is the square root of that total. Risk-adjusted return (the portfolio Sharpe) is the portfolio return divided by the portfolio volatility.

When total allocation exceeds 100%, the excess is treated as financed: a financing cost equal to the assumed financing rate times the leverage above 100% is subtracted to give the post-financing return and post-financing Sharpe. These are the exact relationships computed live above; all underlying numbers are illustrative assumptions, not results.

Note: We are not currently accepting investors. For more information, reach out at ryan+stock@rsfundmanagement.com.